Backtest - WO Classic 2.5Δ Calls

End Balance: $651,843

4.2% CAGR
Drawdown: -$36,290

-5.6%
Sortino: 0.31

0.39 Sharpe

Benchmark Comparison

	Total Return	CAGR	Drawdown	MAR	Sharpe	Sortino	Profit Factor	Annualized Vol.	Correlation	Beta
Backtest	30.4%	4.2%	-5.6%	0.76	0.39	0.31		3.9
SPX	87.5%	10.3%	-0%

Return %

Total Return

Sum of Daily Returns

Drawdown

Percent

Dollars

Backtest Positions

Position	Fills	Entry	Exit
2.5D call 80% PT SPXW Short Call 80.0% portfolio 20.0% notional withheld $1.00 fee per contract $0.05 free to close 1 minute between trades 65% slippage at entry 65% slippage at exit	$1.00 fee per contract $0.05 free to close 1 minute between trades 65% slippage at entry 65% slippage at exit	Sequential Before 3:00 PM EDT 1 DTE (1 min - 4 max) 0.025 CALL Δ	80% profit target

2.5D call 80% PT

Confirm removal of from this backtest.

Remove Position

Detailed Stats

Start Date

September 1, 2016

End Date

January 27, 2023

Start Balance

$500,000

End Balance

$651,843

Broker Fees

$13,054

Return %

30.4%

Return $

$151,843

CAGR

4.2%

Drawdown %

-5.6%

Drawdown $

-$36,290

Drawdown Days

399 days

Sortino

0.31

Sharpe

0.39

MAR

0.76

Annual Vol.

3.9%

Correlation

Beta

Trades

1338

Winners

1323 (98.9%)

Losers

Avg Gain

$113

Avg Winner

$209

Avg Loser

-$8,319

Premium Collected $

$355,287

Premium Retained $

$164,897

Premium Retained %

46.4%

Start Date

September 1, 2016

End Date

January 27, 2023

Start Balance

$500,000

End Balance

$651,843

Broker Fees

$13,054

Return %

30.4%

Return $

$151,843

CAGR

4.2%

Drawdown %

-5.6%

Drawdown $

-$36,290

Drawdown Days

399 days

Sortino

0.31

Sharpe

0.39

MAR

0.76

Annual Vol.

3.9%

Correlation

Beta

Trades

1338

Winners

1323 (98.9%)

Losers

Avg Gain

$113

Avg Winner

$209

Avg Loser

-$8,319

Premium Collected $

$355,287

Premium Retained $

$164,897

Premium Retained %

46.4%

The information provided on Whispertrades is for general information purposes only. No information, materials, services and other content provided on this website constitute solicitation, recommendation, endorsement or any financial, investment, or other advice. Seek independent professional consultation in the form of legal, financial, and fiscal advice before making any investment decision. Past performance may not be indicative of future results.

Balance

Positions

Monthly Performance

Dollars

Percent

Weekly Performance

Dollars

Percent

Daily Performance

Dollars

Percent

Day of Week Performance

January 2023

Month

S Sun

M Mon

T Tue

W Wed

T Thu

F Fri

Total Total

$595.00
0.1%

$294.00
0.0%

$581.00
0.1%

-$234.50
-0.0%

$1,235.50
0.2%
SPX 0.0%

$784.00
0.1%

$304.50
0.1%

$132.00
0.0%

$798.00
0.1%

$195.00
0.0%

$2,213.50
0.3%
SPX 0.0%

$396.00
0.1%

$563.00
0.1%

$255.50
0.0%

-$1,400.00
-0.2%

-$185.50
-0.0%
SPX 0.0%

-$5,113.50
-0.8%

$75.00
0.0%

-$354.00
-0.1%

$549.00
0.1%

$570.00
0.1%

-$4,273.50
-0.7%
SPX 0.0%

Yearly Results

Year

Backtest $ Backtest

Backtest %

SPX
2016

-$27

0.0%

(-1.1%)

3.3%

(-4.6%)

September

$1,467

0.3%

(-0.1%)

-0.1%

(-2.8%)

October

$1,053

0.2%

(0.0%)

-1.9%

(-1.7%)

November

$1,521

0.3%

(-0.2%)

3.4%

(-1.2%)

December

-$4,068

-0.8%

(-1.1%)

1.8%

(-1.4%)
2017

$3,954

0.8%

(-1.5%)

18.0%

(-2.8%)

January

-$6,245

-1.2%

(-1.5%)

1.8%

(-0.8%)

February

$868

0.2%

(-0.1%)

3.7%

(-0.2%)

March

$1,384

0.3%

(-0.0%)

0.0%

(-2.3%)

April

$1,104

0.2%

(-0.0%)

0.9%

(-1.3%)

May

$872

0.2%

(-0.0%)

1.2%

(-1.9%)

June

$936

0.2%

(-0.1%)

0.5%

(-1.4%)

July

$640

0.1%

(0.0%)

1.9%

(-0.9%)

August

$824

0.2%

(-0.1%)

0.1%

(-2.2%)

September

$856

0.2%

(-0.0%)

1.9%

(-0.8%)

October

$816

0.2%

(-0.0%)

2.2%

(-0.7%)

November

$848

0.2%

(-0.1%)

2.8%

(-1.1%)

December

$1,051

0.2%

(0.0%)

1.1%

(-0.6%)
2018

$23,915

4.7%

(-1.1%)

-5.1%

(-19.8%)

January

$602

0.1%

(-0.2%)

5.5%

(-1.8%)

February

-$483

-0.1%

(-0.6%)

-3.7%

(-8.5%)

March

$1,866

0.4%

(-0.2%)

-2.5%

(-7.1%)

April

$2,915

0.6%

(-0.8%)

0.4%

(-2.7%)

May

$1,935

0.4%

(-0.4%)

2.2%

(-1.6%)

June

$1,365

0.3%

(-0.0%)

0.5%

(-3.1%)

July

$1,281

0.3%

(-0.2%)

3.6%

(-1.5%)

August

$1,344

0.3%

(-0.1%)

3.0%

(-1.4%)

September

$1,274

0.2%

(-0.0%)

0.5%

(-0.9%)

October

$3,771

0.7%

(-0.3%)

-7.0%

(-9.7%)

November

$2,799

0.5%

(-0.8%)

1.9%

(-6.4%)

December

$5,246

1.0%

(-1.1%)

-9.3%

(-15.7%)
2019

$26,111

4.9%

(-0.6%)

26.2%

(-6.8%)

January

$3,712

0.7%

(-0.2%)

7.7%

(-2.5%)

February

$1,728

0.3%

(-0.1%)

3.0%

(-1.1%)

March

$2,328

0.4%

(-0.4%)

1.8%

(-2.2%)

April

$1,463

0.3%

(-0.2%)

3.9%

(-0.6%)

May

$2,943

0.5%

(-0.2%)

-6.7%

(-6.6%)

June

$1,022

0.2%

(-0.2%)

6.7%

(-1.4%)

July

$1,897

0.4%

(-0.0%)

1.4%

(-1.5%)

August

$3,878

0.7%

(-0.5%)

-1.6%

(-3.8%)

September

$2,086

0.4%

(-0.6%)

1.8%

(-1.6%)

October

$2,282

0.4%

(-0.1%)

2.1%

(-2.0%)

November

$1,246

0.2%

(-0.0%)

3.4%

(-0.6%)

December

$1,526

0.3%

(-0.1%)

2.8%

(-0.7%)
2020

$41,124

7.4%

(-2.5%)

21.0%

(-33.9%)

January

$1,694

0.3%

(-0.1%)

-0.1%

(-3.1%)

February

-$377

-0.1%

(-0.6%)

-8.5%

(-12.8%)

March

$12,441

2.2%

(-1.4%)

-9.7%

(-28.5%)

April

$7,801

1.4%

(-0.5%)

12.6%

(-4.8%)

May

-$9,649

-1.7%

(-2.5%)

4.7%

(-3.8%)

June

$6,468

1.1%

(-0.5%)

2.2%

(-7.1%)

July

$4,683

0.8%

(-0.1%)

5.5%

(-1.9%)

August

$2,275

0.4%

(-0.5%)

6.8%

(-0.8%)

September

$2,120

0.4%

(-0.6%)

-3.8%

(-9.6%)

October

$5,935

1.0%

(-0.0%)

-2.6%

(-7.5%)

November

$4,073

0.7%

(-0.1%)

10.3%

(-1.9%)

December

$3,660

0.6%

(-0.0%)

3.7%

(-1.5%)
2021

$36,368

6.1%

(-0.3%)

24.7%

(-5.2%)

January

$3,438

0.6%

(-0.3%)

-1.0%

(-3.7%)

February

$3,576

0.6%

(-0.0%)

2.7%

(-3.2%)

March

$4,368

0.7%

(-0.3%)

4.3%

(-3.4%)

April

$2,772

0.5%

(-0.1%)

5.1%

(-1.2%)

May

$3,174

0.5%

(-0.1%)

0.6%

(-4.0%)

June

$2,814

0.5%

(-0.1%)

2.2%

(-2.1%)

July

$2,382

0.4%

(-0.1%)

2.3%

(-2.9%)

August

$2,056

0.3%

(-0.1%)

2.9%

(-1.8%)

September

$3,182

0.5%

(-0.0%)

-4.8%

(-5.1%)

October

$2,881

0.5%

(-0.1%)

6.8%

(-1.3%)

November

$2,745

0.4%

(-0.0%)

-0.8%

(-2.9%)

December

$2,980

0.5%

(-0.2%)

4.4%

(-3.0%)
2022

$21,408

3.4%

(-5.6%)

-18.7%

(-25.4%)

January

$4,892

0.8%

(-0.2%)

-5.3%

(-9.8%)

February

-$26,426

-4.2%

(-5.0%)

-3.0%

(-7.9%)

March

$7,518

1.2%

(-0.3%)

3.8%

(-4.9%)

April

$6,814

1.1%

(-0.3%)

-9.0%

(-9.8%)

May

$11,814

1.9%

(-0.3%)

0.4%

(-9.3%)

June

-$14,274

-2.2%

(-3.8%)

-8.4%

(-12.2%)

July

$6,354

1.0%

(-0.1%)

8.9%

(-2.9%)

August

$7,590

1.2%

(-0.1%)

-4.2%

(-8.1%)

September

$12,157

1.9%

(-0.1%)

-9.5%

(-12.7%)

October

-$11,541

-1.8%

(-5.6%)

8.0%

(-5.7%)

November

$7,686

1.2%

(-0.2%)

5.5%

(-3.5%)

December

$8,824

1.4%

(-0.4%)

-5.9%

(-7.2%)
2023

-$1,010

-0.2%

(-1.0%)

5.9%

(-2.5%)

January

-$1,010

-0.2%

(-1.0%)

5.9%

(-2.5%)

Trade Log

Position	Position	Legs	Timing	Entry	Exit	Result
2.5D call 80% PT	2.5D call 80% PT -9 Fri Sep 2nd 2205c	-9 Fri Sep 2nd 2205c $396,900 max risk	Thu Sep 1st 2016 9:31:00 AM EDT \| $0.09 credit Fri Sep 2nd 2016 4:00:00 PM EDT \|	Thu Sep 1st 2016 9:31:00 AM EDT \| $0.09 credit SPX 2171.08	Fri Sep 2nd 2016 4:00:00 PM EDT SPX 2179.95	Expired $72 \| 88.89% $500,072 balance
2.5D call 80% PT	2.5D call 80% PT -9 Wed Sep 7th 2210c	-9 Wed Sep 7th 2210c $397,800 max risk	Tue Sep 6th 2016 9:31:00 AM EDT \| $0.09 credit Wed Sep 7th 2016 4:00:00 PM EDT \|	Tue Sep 6th 2016 9:31:00 AM EDT \| $0.09 credit SPX 2183.51	Wed Sep 7th 2016 4:00:00 PM EDT SPX 2186.16	Expired $72 \| 88.89% $500,144 balance
2.5D call 80% PT	2.5D call 80% PT -9 Fri Sep 9th 2205c	-9 Fri Sep 9th 2205c $396,900 max risk	Thu Sep 8th 2016 9:31:00 AM EDT \| $0.10 credit Fri Sep 9th 2016 4:00:00 PM EDT \|	Thu Sep 8th 2016 9:31:00 AM EDT \| $0.10 credit SPX 2181.12	Fri Sep 9th 2016 4:00:00 PM EDT SPX 2128.01	Expired $81 \| 90.00% $500,225 balance
2.5D call 80% PT	2.5D call 80% PT -9 Wed Sep 14th 2185c	-9 Wed Sep 14th 2185c $393,300 max risk	Mon Sep 12th 2016 9:31:00 AM EDT \| $0.23 credit Tue Sep 13th 2016 12:31:00 PM EDT \| $0.05 debit	Mon Sep 12th 2016 9:31:00 AM EDT \| $0.23 credit SPX 2120.06	Tue Sep 13th 2016 12:31:00 PM EDT \| $0.05 debit SPX 2125.89	Profit Target $153 \| 73.91% $500,378 balance
2.5D call 80% PT	2.5D call 80% PT -9 Wed Sep 14th 2170c	-9 Wed Sep 14th 2170c $390,600 max risk	Tue Sep 13th 2016 12:32:00 PM EDT \| $0.19 credit Wed Sep 14th 2016 9:32:00 AM EDT \| $0.05 debit	Tue Sep 13th 2016 12:32:00 PM EDT \| $0.19 credit SPX 2126.12	Wed Sep 14th 2016 9:32:00 AM EDT \| $0.05 debit SPX 2128.81	Profit Target $117 \| 68.42% $500,495 balance
2.5D call 80% PT	2.5D call 80% PT -9 Mon Sep 19th 2180c	-9 Mon Sep 19th 2180c $392,400 max risk	Thu Sep 15th 2016 9:31:00 AM EDT \| $0.24 credit Fri Sep 16th 2016 11:10:00 AM EDT \| $0.05 debit	Thu Sep 15th 2016 9:31:00 AM EDT \| $0.24 credit SPX 2125.89	Fri Sep 16th 2016 11:10:00 AM EDT \| $0.05 debit SPX 2134.37	Profit Target $162 \| 75.00% $500,657 balance
2.5D call 80% PT	2.5D call 80% PT -9 Mon Sep 19th 2170c	-9 Mon Sep 19th 2170c $390,600 max risk	Fri Sep 16th 2016 11:11:00 AM EDT \| $0.15 credit Fri Sep 16th 2016 3:11:00 PM EDT \| $0.05 debit	Fri Sep 16th 2016 11:11:00 AM EDT \| $0.15 credit SPX 2134.70	Fri Sep 16th 2016 3:11:00 PM EDT \| $0.05 debit SPX 2136.16	Profit Target $81 \| 60.00% $500,738 balance
2.5D call 80% PT	2.5D call 80% PT -9 Wed Sep 21st 2190c	-9 Wed Sep 21st 2190c $394,200 max risk	Mon Sep 19th 2016 9:31:00 AM EDT \| $0.22 credit Wed Sep 21st 2016 2:01:00 PM EDT \| $0.05 debit	Mon Sep 19th 2016 9:31:00 AM EDT \| $0.22 credit SPX 2146.81	Wed Sep 21st 2016 2:01:00 PM EDT \| $0.05 debit SPX 2147.15	Profit Target $144 \| 72.73% $500,882 balance
2.5D call 80% PT	2.5D call 80% PT -9 Fri Sep 23rd 2200c	-9 Fri Sep 23rd 2200c $396,000 max risk	Wed Sep 21st 2016 2:02:00 PM EDT \| $0.22 credit Fri Sep 23rd 2016 9:30:00 AM EDT \| $0.05 debit	Wed Sep 21st 2016 2:02:00 PM EDT \| $0.22 credit SPX 2147.47	Fri Sep 23rd 2016 9:30:00 AM EDT \| $0.05 debit SPX 2172.75	Profit Target $144 \| 72.73% $501,026 balance
2.5D call 80% PT	2.5D call 80% PT -9 Mon Sep 26th 2200c	-9 Mon Sep 26th 2200c $396,000 max risk	Fri Sep 23rd 2016 9:31:00 AM EDT \| $0.10 credit Mon Sep 26th 2016 4:00:00 PM EDT \|	Fri Sep 23rd 2016 9:31:00 AM EDT \| $0.10 credit SPX 2171.91	Mon Sep 26th 2016 4:00:00 PM EDT SPX 2146.31	Expired $81 \| 90.00% $501,107 balance
2.5D call 80% PT	2.5D call 80% PT -9 Wed Sep 28th 2180c	-9 Wed Sep 28th 2180c $392,400 max risk	Tue Sep 27th 2016 9:31:00 AM EDT \| $0.20 credit Wed Sep 28th 2016 9:41:00 AM EDT \| $0.05 debit	Tue Sep 27th 2016 9:31:00 AM EDT \| $0.20 credit SPX 2142.93	Wed Sep 28th 2016 9:41:00 AM EDT \| $0.05 debit SPX 2162.49	Profit Target $126 \| 70.00% $501,233 balance
2.5D call 80% PT	2.5D call 80% PT -9 Fri Sep 30th 2195c	-9 Fri Sep 30th 2195c $395,100 max risk	Wed Sep 28th 2016 9:42:00 AM EDT \| $0.19 credit Thu Sep 29th 2016 1:26:00 PM EDT \| $0.05 debit	Wed Sep 28th 2016 9:42:00 AM EDT \| $0.19 credit SPX 2162.75	Thu Sep 29th 2016 1:26:00 PM EDT \| $0.05 debit SPX 2154.60	Profit Target $117 \| 68.42% $501,350 balance
2.5D call 80% PT	2.5D call 80% PT -9 Fri Sep 30th 2185c	-9 Fri Sep 30th 2185c $393,300 max risk	Thu Sep 29th 2016 1:27:00 PM EDT \| $0.19 credit Fri Sep 30th 2016 9:34:00 AM EDT \| $0.05 debit	Thu Sep 29th 2016 1:27:00 PM EDT \| $0.19 credit SPX 2154.84	Fri Sep 30th 2016 9:34:00 AM EDT \| $0.05 debit SPX 2163.57	Profit Target $117 \| 68.42% $501,467 balance
2.5D call 80% PT	2.5D call 80% PT -9 Mon Oct 3rd 2195c	-9 Mon Oct 3rd 2195c $395,100 max risk	Fri Sep 30th 2016 9:35:00 AM EDT \| $0.10 credit Mon Oct 3rd 2016 4:00:00 PM EDT \|	Fri Sep 30th 2016 9:35:00 AM EDT \| $0.10 credit SPX 2163.05	Mon Oct 3rd 2016 4:00:00 PM EDT SPX 2161.03	Expired $81 \| 90.00% $501,548 balance
2.5D call 80% PT	2.5D call 80% PT -9 Wed Oct 5th 2190c	-9 Wed Oct 5th 2190c $394,200 max risk	Tue Oct 4th 2016 9:31:00 AM EDT \| $0.09 credit Wed Oct 5th 2016 4:00:00 PM EDT \|	Tue Oct 4th 2016 9:31:00 AM EDT \| $0.09 credit SPX 2164.56	Wed Oct 5th 2016 4:00:00 PM EDT SPX 2159.67	Expired $72 \| 88.89% $501,620 balance
2.5D call 80% PT	2.5D call 80% PT -9 Fri Oct 7th 2190c	-9 Fri Oct 7th 2190c $394,200 max risk	Thu Oct 6th 2016 9:31:00 AM EDT \| $0.13 credit Fri Oct 7th 2016 4:00:00 PM EDT \|	Thu Oct 6th 2016 9:31:00 AM EDT \| $0.13 credit SPX 2157.34	Fri Oct 7th 2016 4:00:00 PM EDT SPX 2153.74	Expired $108 \| 92.31% $501,728 balance
2.5D call 80% PT	2.5D call 80% PT -9 Wed Oct 12th 2195c	-9 Wed Oct 12th 2195c $395,100 max risk	Mon Oct 10th 2016 9:31:00 AM EDT \| $0.10 credit Wed Oct 12th 2016 4:00:00 PM EDT \|	Mon Oct 10th 2016 9:31:00 AM EDT \| $0.10 credit SPX 2164.31	Wed Oct 12th 2016 4:00:00 PM EDT SPX 2139.27	Expired $81 \| 90.00% $501,809 balance
2.5D call 80% PT	2.5D call 80% PT -9 Fri Oct 14th 2165c	-9 Fri Oct 14th 2165c $389,700 max risk	Thu Oct 13th 2016 9:31:00 AM EDT \| $0.18 credit Fri Oct 14th 2016 11:07:00 AM EDT \| $0.05 debit	Thu Oct 13th 2016 9:31:00 AM EDT \| $0.18 credit SPX 2126.06	Fri Oct 14th 2016 11:07:00 AM EDT \| $0.05 debit SPX 2141.35	Profit Target $108 \| 66.67% $501,917 balance
2.5D call 80% PT	2.5D call 80% PT -9 Mon Oct 17th 2170c	-9 Mon Oct 17th 2170c $390,600 max risk	Fri Oct 14th 2016 11:08:00 AM EDT \| $0.10 credit Mon Oct 17th 2016 4:00:00 PM EDT \|	Fri Oct 14th 2016 11:08:00 AM EDT \| $0.10 credit SPX 2141.53	Mon Oct 17th 2016 4:00:00 PM EDT SPX 2126.48	Expired $81 \| 90.00% $501,998 balance
2.5D call 80% PT	2.5D call 80% PT -9 Wed Oct 19th 2170c	-9 Wed Oct 19th 2170c $390,600 max risk	Tue Oct 18th 2016 9:31:00 AM EDT \| $0.19 credit Wed Oct 19th 2016 9:30:00 AM EDT \| $0.05 debit	Tue Oct 18th 2016 9:31:00 AM EDT \| $0.19 credit SPX 2141.94	Wed Oct 19th 2016 9:30:00 AM EDT \| $0.05 debit SPX 2141.05	Profit Target $117 \| 68.42% $502,115 balance

1 ...